This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching model, we can obtain more efficient hedge ratios and superior hedging performance in both in-sample and out-sample analysis compared with other methodologies (constant hedge ratios and linear GARCH). Moreover, non-linear models also reflect different patterns followed by the dynamic relationship between the volatility of spot and futures returns during low and high volatility periods
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and it...
Conventional hedging theory fails to take into account a number of stylized facts about exchange ra...
This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregr...
This article examines the ability of several models to generate optimal hedge ratios. Statistical mo...
This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging...
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index fut...
Throughout research literature on hedging with futures, a number of techniques to estimate the optim...
This paper studies the risk hedging between stock index and underlying futures. The hedging ratios a...
In the globalized economy many businesses are exposed to the foreign exchange risk in their daily tr...
In this thesis we search for optimal hedging strategy in stock index futures markets by providing a ...
Mixed results have been documented for the performance of hedging strategies using futures. This pap...
When hedging in futures markets, the hedge instruments typically fail to match the exposed asset or ...
We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futur...
This paper examines the price volatility and hedging behavior of commodity futures indices and stock...
This paper investigates the hedging effectiveness of the International Index Futures Markets using d...
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and it...
Conventional hedging theory fails to take into account a number of stylized facts about exchange ra...
This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregr...
This article examines the ability of several models to generate optimal hedge ratios. Statistical mo...
This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging...
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index fut...
Throughout research literature on hedging with futures, a number of techniques to estimate the optim...
This paper studies the risk hedging between stock index and underlying futures. The hedging ratios a...
In the globalized economy many businesses are exposed to the foreign exchange risk in their daily tr...
In this thesis we search for optimal hedging strategy in stock index futures markets by providing a ...
Mixed results have been documented for the performance of hedging strategies using futures. This pap...
When hedging in futures markets, the hedge instruments typically fail to match the exposed asset or ...
We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futur...
This paper examines the price volatility and hedging behavior of commodity futures indices and stock...
This paper investigates the hedging effectiveness of the International Index Futures Markets using d...
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and it...
Conventional hedging theory fails to take into account a number of stylized facts about exchange ra...
This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregr...